Behavioural finance perspectives on Malaysian stock market efficiency
This paper provides historical, theoretical, and empirical syntheses in understanding the rationality of investors, stock prices, and stock market efficiency behaviour in the theoretical lenses of behavioural finance paradigm. The inquiry is guided by multidisciplinary behavioural-related theories....
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2016-03-01
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| Series: | Borsa Istanbul Review |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2214845015300703 |
| _version_ | 1828108410482065408 |
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| author | Jasman Tuyon Zamri Ahmad |
| author_facet | Jasman Tuyon Zamri Ahmad |
| author_sort | Jasman Tuyon |
| collection | DOAJ |
| description | This paper provides historical, theoretical, and empirical syntheses in understanding the rationality of investors, stock prices, and stock market efficiency behaviour in the theoretical lenses of behavioural finance paradigm. The inquiry is guided by multidisciplinary behavioural-related theories. The analyses employed a long span of Bursa Malaysia stock market data from 1977 to 2014 along the different phases of economic development and market states. The tests confirmed the presence of asymmetric dynamic behaviour of prices predictability as well as risk and return relationships across different market states, risk states and quantiles data segments. The efficiency tests show trends of an adaptive pattern of weak market efficiency across various economic phases and market states. Collectively, these evidences lend support to bounded-adaptive rational of investors' behaviour, dynamic stock price behaviour, and accordingly forming bounded-adaptive market efficiency. |
| first_indexed | 2024-04-11T10:46:21Z |
| format | Article |
| id | doaj.art-20eb1fd4418942c2856abf9a00083fff |
| institution | Directory Open Access Journal |
| issn | 2214-8450 |
| language | English |
| last_indexed | 2024-04-11T10:46:21Z |
| publishDate | 2016-03-01 |
| publisher | Elsevier |
| record_format | Article |
| series | Borsa Istanbul Review |
| spelling | doaj.art-20eb1fd4418942c2856abf9a00083fff2022-12-22T04:29:03ZengElsevierBorsa Istanbul Review2214-84502016-03-01161436110.1016/j.bir.2016.01.001Behavioural finance perspectives on Malaysian stock market efficiencyJasman Tuyon0Zamri Ahmad1Financial Market Research, School of Management, Universiti Sains Malaysia, Penang, MalaysiaFinancial Market Research, School of Management, Universiti Sains Malaysia, Penang, MalaysiaThis paper provides historical, theoretical, and empirical syntheses in understanding the rationality of investors, stock prices, and stock market efficiency behaviour in the theoretical lenses of behavioural finance paradigm. The inquiry is guided by multidisciplinary behavioural-related theories. The analyses employed a long span of Bursa Malaysia stock market data from 1977 to 2014 along the different phases of economic development and market states. The tests confirmed the presence of asymmetric dynamic behaviour of prices predictability as well as risk and return relationships across different market states, risk states and quantiles data segments. The efficiency tests show trends of an adaptive pattern of weak market efficiency across various economic phases and market states. Collectively, these evidences lend support to bounded-adaptive rational of investors' behaviour, dynamic stock price behaviour, and accordingly forming bounded-adaptive market efficiency.http://www.sciencedirect.com/science/article/pii/S2214845015300703Behavioural finance paradigmBounded-adaptive rationalityBounded-adaptive efficiencyEmerging stock markets |
| spellingShingle | Jasman Tuyon Zamri Ahmad Behavioural finance perspectives on Malaysian stock market efficiency Borsa Istanbul Review Behavioural finance paradigm Bounded-adaptive rationality Bounded-adaptive efficiency Emerging stock markets |
| title | Behavioural finance perspectives on Malaysian stock market efficiency |
| title_full | Behavioural finance perspectives on Malaysian stock market efficiency |
| title_fullStr | Behavioural finance perspectives on Malaysian stock market efficiency |
| title_full_unstemmed | Behavioural finance perspectives on Malaysian stock market efficiency |
| title_short | Behavioural finance perspectives on Malaysian stock market efficiency |
| title_sort | behavioural finance perspectives on malaysian stock market efficiency |
| topic | Behavioural finance paradigm Bounded-adaptive rationality Bounded-adaptive efficiency Emerging stock markets |
| url | http://www.sciencedirect.com/science/article/pii/S2214845015300703 |
| work_keys_str_mv | AT jasmantuyon behaviouralfinanceperspectivesonmalaysianstockmarketefficiency AT zamriahmad behaviouralfinanceperspectivesonmalaysianstockmarketefficiency |